def test_FinBondEmbeddedOptionMATLAB():
# https://fr.mathworks.com/help/fininst/optembndbyhw.html
# I FIND THAT THE PRICE CONVERGES TO 102.88 WHICH IS CLOSE TO 102.9127
# FOUND BY MATLAB ALTHOUGH THEY DO NOT EXAMINE THE ASYMPTOTIC PRICE
# WHICH MIGHT BE A BETTER MATCH
settlementDate = FinDate(1, 1, 2007)
valuationDate = settlementDate
###########################################################################
dcType = FinDayCountTypes.THIRTY_E_360
fixedFreq = FinFrequencyTypes.ANNUAL
fixedLegType = FinSwapTypes.PAY
swap1 = FinIborSwap(settlementDate, "1Y", fixedLegType, 0.0350, fixedFreq,
dcType)
swap2 = FinIborSwap(settlementDate, "2Y", fixedLegType, 0.0400, fixedFreq,
dcType)
swap3 = FinIborSwap(settlementDate, "3Y", fixedLegType, 0.0450, fixedFreq,
dcType)
swaps = [swap1, swap2, swap3]
discountCurve = FinIborSingleCurve(valuationDate, [], [], swaps)
###########################################################################
issueDate = FinDate(1, 1, 2004)
maturityDate = FinDate(1, 1, 2010)
coupon = 0.0525
freqType = FinFrequencyTypes.ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
callDates = []
callPrices = []
putDates = []
putPrices = []
putDate = FinDate(1, 1, 2008)
for i in range(0, 24):
putDates.append(putDate)
putPrices.append(100)
putDate = putDate.addMonths(1)
testCases.header("BOND PRICE", "PRICE")
v = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.print("Bond Pure Price:", v)
sigma = 0.01 # basis point volatility
a = 0.1
puttableBond = FinBondEmbeddedOption(issueDate, maturityDate, coupon,
freqType, accrualType, callDates,
callPrices, putDates, putPrices)
testCases.header("TIME", "NumTimeSteps", "BondWithOption", "BondPure")
timeSteps = range(50, 1000, 10)
values = []
for numTimeSteps in timeSteps:
model = FinModelRatesHW(sigma, a, numTimeSteps)
start = time.time()
v = puttableBond.value(settlementDate, discountCurve, model)
end = time.time()
period = end - start
testCases.print(period, numTimeSteps, v['bondwithoption'],
v['bondpure'])
values.append(v['bondwithoption'])
if plotGraphs:
plt.figure()
plt.plot(timeSteps, values)
def test_FinBondEmbeddedOptionQUANTLIB():
# Based on example at the nice blog on Quantlib at
# http://gouthamanbalaraman.com/blog/callable-bond-quantlib-python.html
# I get a price of 68.97 for 1000 time steps which is higher than the
# 68.38 found in blog article. But this is for 40 grid points.
# Note also that a basis point vol of 0.120 is 12% which is VERY HIGH!
valuationDate = FinDate(16, 8, 2016)
settlementDate = valuationDate.addWeekDays(3)
###########################################################################
discountCurve = FinDiscountCurveFlat(valuationDate, 0.035,
FinFrequencyTypes.SEMI_ANNUAL)
###########################################################################
issueDate = FinDate(15, 9, 2010)
maturityDate = FinDate(15, 9, 2022)
coupon = 0.025
freqType = FinFrequencyTypes.QUARTERLY
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
###########################################################################
# Set up the call and put times and prices
###########################################################################
nextCallDate = FinDate(15, 9, 2016)
callDates = [nextCallDate]
callPrices = [100.0]
for i in range(1, 24):
nextCallDate = nextCallDate.addMonths(3)
callDates.append(nextCallDate)
callPrices.append(100.0)
putDates = []
putPrices = []
# the value used in blog of 12% bp vol is unrealistic
sigma = 0.12 # basis point volatility
a = 0.03
puttableBond = FinBondEmbeddedOption(issueDate, maturityDate, coupon,
freqType, accrualType, callDates,
callPrices, putDates, putPrices)
testCases.header("BOND PRICE", "PRICE")
v = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.print("Bond Pure Price:", v)
testCases.header("TIME", "NumTimeSteps", "BondWithOption", "BondPure")
timeSteps = range(100, 1000, 100)
values = []
for numTimeSteps in timeSteps:
model = FinModelRatesHW(sigma, a, numTimeSteps)
start = time.time()
v = puttableBond.value(settlementDate, discountCurve, model)
end = time.time()
period = end - start
testCases.print(period, numTimeSteps, v['bondwithoption'],
v['bondpure'])
values.append(v['bondwithoption'])
if plotGraphs:
plt.figure()
plt.title("Puttable Bond Price Convergence")
plt.plot(timeSteps, values)